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A NOVEL APPROACH TO PREDICTIVE ACCURACY TESTING IN NESTED ENVIRONMENTS 一种在嵌套环境中预测准确性测试的新方法
4区 经济学
Econometric Theory Pub Date : 2023-05-17 DOI: 10.1017/s0266466623000154
Jean-Yves Pitarakis
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引用次数: 1
INFERENCE ON GARCH-MIDAS MODELS WITHOUT ANY SMALL-ORDER MOMENT 无小阶矩GARCH-MIDAS模型的推理
IF 0.8 4区 经济学
Econometric Theory Pub Date : 2023-05-12 DOI: 10.1017/s0266466623000142
C. Francq, Baye Matar Kandji, J. Zakoian
{"title":"INFERENCE ON GARCH-MIDAS MODELS WITHOUT ANY SMALL-ORDER MOMENT","authors":"C. Francq, Baye Matar Kandji, J. Zakoian","doi":"10.1017/s0266466623000142","DOIUrl":"https://doi.org/10.1017/s0266466623000142","url":null,"abstract":"In GARCH-mixed-data sampling models, the volatility is decomposed into the product of two factors which are often interpreted as “short-run” (high-frequency) and “long-run” (low-frequency) components. While two-component volatility models are widely used in applied works, some of their theoretical properties remain unexplored. We show that the strictly stationary solutions of such models do not admit any small-order finite moment, contrary to classical GARCH. It is shown that the strong consistency and the asymptotic normality of the quasi-maximum likelihood estimator hold despite the absence of moments. Tests for the presence of a long-run volatility relying on the asymptotic theory and a bootstrap procedure are proposed. Our results are illustrated via Monte Carlo experiments and real financial data.","PeriodicalId":49275,"journal":{"name":"Econometric Theory","volume":" ","pages":""},"PeriodicalIF":0.8,"publicationDate":"2023-05-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48099360","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
NEW ROBUST INFERENCE FOR PREDICTIVE REGRESSIONS 预测回归的新鲁棒推断
4区 经济学
Econometric Theory Pub Date : 2023-05-03 DOI: 10.1017/s0266466623000117
Rustam Ibragimov, Jihyun Kim, Anton Skrobotov
{"title":"NEW ROBUST INFERENCE FOR PREDICTIVE REGRESSIONS","authors":"Rustam Ibragimov, Jihyun Kim, Anton Skrobotov","doi":"10.1017/s0266466623000117","DOIUrl":"https://doi.org/10.1017/s0266466623000117","url":null,"abstract":"We propose a robust inference method for predictive regression models under heterogeneously persistent volatility as well as endogeneity, persistence, or heavy-tailedness of regressors. This approach relies on two methodologies, nonlinear instrumental variable estimation and volatility correction, which are used to deal with the aforementioned characteristics of regressors and volatility, respectively. Our method is simple to implement and is applicable both in the case of continuous and discrete time models. According to our simulation study, the proposed method performs well compared with widely used alternative inference procedures in terms of its finite sample properties in various dependence and persistence settings observed in real-world financial and economic markets.","PeriodicalId":49275,"journal":{"name":"Econometric Theory","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-05-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134922892","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
ON THE SIZE CONTROL OF THE HYBRID TEST FOR SUPERIOR PREDICTIVE ABILITY 预测能力优越的混合测试的规模控制
IF 0.8 4区 经济学
Econometric Theory Pub Date : 2023-05-02 DOI: 10.1017/s0266466623000130
Deborah Kim
{"title":"ON THE SIZE CONTROL OF THE HYBRID TEST FOR SUPERIOR PREDICTIVE ABILITY","authors":"Deborah Kim","doi":"10.1017/s0266466623000130","DOIUrl":"https://doi.org/10.1017/s0266466623000130","url":null,"abstract":"This article analyzes the theoretical properties of the hybrid test for superior predictive ability. A simple example reveals that the test may not be size-controlled at common significance levels with rejection rates exceeding \u0000\u0000 \u0000 \u0000 \u0000$11%$\u0000\u0000 \u0000 at a \u0000\u0000 \u0000 \u0000 \u0000$5%$\u0000\u0000 \u0000 nominal level. Generalizing this observation, the main results show the pointwise asymptotic invalidity of the hybrid test under reasonable conditions. Monte Carlo simulations support these theoretical findings.","PeriodicalId":49275,"journal":{"name":"Econometric Theory","volume":" ","pages":""},"PeriodicalIF":0.8,"publicationDate":"2023-05-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42194809","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
INTERCEPT ESTIMATION IN NONLINEAR SELECTION MODELS 非线性选择模型中的截距估计
4区 经济学
Econometric Theory Pub Date : 2023-04-24 DOI: 10.1017/s0266466623000105
Wiji Arulampalam, Valentina Corradi, Daniel Gutknecht
{"title":"INTERCEPT ESTIMATION IN NONLINEAR SELECTION MODELS","authors":"Wiji Arulampalam, Valentina Corradi, Daniel Gutknecht","doi":"10.1017/s0266466623000105","DOIUrl":"https://doi.org/10.1017/s0266466623000105","url":null,"abstract":"We propose various semiparametric estimators for nonlinear selection models, where slope and intercept can be separately identified. When the selection equation satisfies a monotonic index restriction, we suggest a local polynomial estimator, using only observations for which the marginal cumulative distribution function of the instrument index is close to one. Data-driven procedures such as cross-validation may be used to select the bandwidth for this estimator. We then consider the case in which the monotonic index restriction does not hold and/or the set of observations with a propensity score close to one is thin so that convergence occurs at a rate that is arbitrarily close to the cubic rate. We explore the finite sample behavior in a Monte Carlo study and illustrate the use of our estimator using a model for count data with multiplicative unobserved heterogeneity.","PeriodicalId":49275,"journal":{"name":"Econometric Theory","volume":"52 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-04-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135223075","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
NUCLEAR NORM REGULARIZED QUANTILE REGRESSION WITH INTERACTIVE FIXED EFFECTS 具有交互固定效应的核范数正则分位数回归
IF 0.8 4区 经济学
Econometric Theory Pub Date : 2023-04-24 DOI: 10.1017/s0266466623000129
Junlong Feng
{"title":"NUCLEAR NORM REGULARIZED QUANTILE REGRESSION WITH INTERACTIVE FIXED EFFECTS","authors":"Junlong Feng","doi":"10.1017/s0266466623000129","DOIUrl":"https://doi.org/10.1017/s0266466623000129","url":null,"abstract":"This paper studies large N and large T conditional quantile panel data models with interactive fixed effects. We propose a nuclear norm penalized estimator of the coefficients on the covariates and the low-rank matrix formed by the interactive fixed effects. The estimator solves a convex minimization problem, not requiring pre-estimation of the (number of) interactive fixed effects. It also allows the number of covariates to grow slowly with N and T. We derive an error bound on the estimator that holds uniformly in the quantile level. The order of the bound implies uniform consistency of the estimator and is nearly optimal for the low-rank component. Given the error bound, we also propose a consistent estimator of the number of interactive fixed effects at any quantile level. We demonstrate the performance of the estimator via Monte Carlo simulations.","PeriodicalId":49275,"journal":{"name":"Econometric Theory","volume":" ","pages":""},"PeriodicalIF":0.8,"publicationDate":"2023-04-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47009294","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
THE ESTIMATION RISK IN EXTREME SYSTEMIC RISK FORECASTS 极端系统风险预测中的风险估计
IF 0.8 4区 经济学
Econometric Theory Pub Date : 2023-04-20 DOI: 10.1017/s0266466623000233
Y. Hoga
{"title":"THE ESTIMATION RISK IN EXTREME SYSTEMIC RISK FORECASTS","authors":"Y. Hoga","doi":"10.1017/s0266466623000233","DOIUrl":"https://doi.org/10.1017/s0266466623000233","url":null,"abstract":"Systemic risk measures have been shown to be predictive of financial crises and declines in real activity. Thus, forecasting them is of major importance in finance and economics. In this paper, we propose a new forecasting method for systemic risk as measured by the marginal expected shortfall (MES). It is based on first de-volatilizing the observations and, then, calculating systemic risk for the residuals using an estimator based on extreme value theory. We show the validity of the method by establishing the asymptotic normality of the MES forecasts. The good finite-sample coverage of the implied MES forecast intervals is confirmed in simulations. An empirical application to major U.S. banks illustrates the significant time variation in the precision of MES forecasts, and explores the implications of this fact from a regulatory perspective.","PeriodicalId":49275,"journal":{"name":"Econometric Theory","volume":" ","pages":""},"PeriodicalIF":0.8,"publicationDate":"2023-04-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44672832","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
ECT volume 39 issue 2 Cover and Front matter ECT第39卷第2期封面和封面
IF 0.8 4区 经济学
Econometric Theory Pub Date : 2023-04-01 DOI: 10.1017/s0266466623000087
{"title":"ECT volume 39 issue 2 Cover and Front matter","authors":"","doi":"10.1017/s0266466623000087","DOIUrl":"https://doi.org/10.1017/s0266466623000087","url":null,"abstract":"","PeriodicalId":49275,"journal":{"name":"Econometric Theory","volume":" ","pages":"f1 - f2"},"PeriodicalIF":0.8,"publicationDate":"2023-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46555505","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
THE ECONOMETRIC THEORY AWARDS 2023 计量经济学理论奖2023
IF 0.8 4区 经济学
Econometric Theory Pub Date : 2023-04-01 DOI: 10.1017/s0266466623000075
P. Phillips
{"title":"THE ECONOMETRIC THEORY AWARDS 2023","authors":"P. Phillips","doi":"10.1017/s0266466623000075","DOIUrl":"https://doi.org/10.1017/s0266466623000075","url":null,"abstract":"","PeriodicalId":49275,"journal":{"name":"Econometric Theory","volume":"39 1","pages":"442 - 442"},"PeriodicalIF":0.8,"publicationDate":"2023-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43623339","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
ECT volume 39 issue 2 Cover and Back matter ECT第39卷第2期封面和封底
IF 0.8 4区 经济学
Econometric Theory Pub Date : 2023-04-01 DOI: 10.1017/s0266466623000099
{"title":"ECT volume 39 issue 2 Cover and Back matter","authors":"","doi":"10.1017/s0266466623000099","DOIUrl":"https://doi.org/10.1017/s0266466623000099","url":null,"abstract":"","PeriodicalId":49275,"journal":{"name":"Econometric Theory","volume":"39 1","pages":"b1 - b2"},"PeriodicalIF":0.8,"publicationDate":"2023-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"56876087","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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